先锋期货期权日报 2026-1-26 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 各品种未来有大行情的概率的参考排名： | | --- | | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | ag2603 | 6.0% | 1 | 4.7% | 3 | 10.6% | 2 | | lc2603 | 5.9% | 2 | 5.8% | 2 | 15.5% | 1 | | pd2606 | 4.6% | 3 | 4.6% | 4 | 9.5% | 4 | | sn2 ...

先锋期货期权日报 2026-1-15 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | ag2602 | 6.5% | 1 | 4.5% | 3 | 9.3% | 1 | | sn2602 | 6.0% | 2 | 3.1% | 6 | 7.0% | 4 | | ni2602 | 5.2% | 3 | 3.2% | 5 | 7.4% | 2 | | lc2603 | 5.0% | 4 | 4.2% | 4 | 6.8% ...

1. Report Overview - Report Title: Pioneer Futures Options Daily Report - Report Date: November 7, 2025 [1] 2. Option Underlying Volatility Ranking 2.1 Ranking Table - The report provides a ranking table of option underlying volatility, including at - the - money option implied volatility, 30 - day historical volatility, and daily true range, along with their respective rankings for multiple option underlyings such as ps2601, lc2601, etc. [3][4] 2.2 Volatility Interpretation - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying. Larger values indicate a higher probability of significant market movements, which can be of interest to trend traders. - 30 - day historical volatility reflects the actual past price movements of the underlying. If its value is smaller than the implied volatility, it may suggest that option prices are relatively expensive, which can be considered by option sellers. - The daily true range reflects the intraday price movements of the underlying, and intraday traders can focus on the top - ranked varieties. [5] 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on this day was 389,163 contracts, the open interest was 885,597 contracts, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 13.56%. A T - type quotation table of option prices at different strike prices was provided. [19][21] - **Volatility Trading**: Volatility trading suggestions were given, such as selling options in months with higher implied volatility curves and buying those in months with lower curves; selling options with points above the curve and buying those below the curve within the same month. [24][25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 7.02% when traded at the settlement price and 0.90% when traded at the counter - party price. [29][31] 3.1.2 Huatai - Peregrine CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on this day was 556,898 contracts, the open interest was 782,003 contracts, the trading volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 14.97%. A T - type quotation table of option prices at different strike prices was provided. [32][34] - **Volatility Trading**: Similar volatility trading suggestions were given as for the Shanghai 50ETF. [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 12.3% when traded at the settlement price and 1.85% when traded at the counter - party price. [41][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on this day was 1,014,468 contracts, the open interest was 782,415 contracts, the trading volume ratio of call options to put options was 1.07, and the weighted - average implied volatility was 19.39%. A T - type quotation table of option prices at different strike prices was provided. [43][45] - **Volatility Trading**: Similar volatility trading suggestions were given. [50] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.4% when traded at the settlement price and 9.64% when traded at the counter - party price. [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main Huaxia Shanghai Science and Technology Innovation Board 50ETF options on this day was 662,205 contracts, the open interest was 1,207,182 contracts, the trading volume ratio of call options to put options was 1.21, and the weighted - average implied volatility was 33.73%. A T - type quotation table of option prices at different strike prices was provided. [55][56] - **Volatility Trading**: Similar volatility trading suggestions were given. [58] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 13.8% when traded at the settlement price and 2.73% when traded at the counter - party price. [62][63] 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation Board 50ETF options on this day was 125,567 contracts, the open interest was 286,032 contracts, the trading volume ratio of call options to put options was 1.24, and the weighted - average implied volatility was 34.11%. A T - type quotation table of option prices at different strike prices was provided. [66][67] - **Volatility Trading**: Similar volatility trading suggestions were given. [69] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 25.6% when traded at the settlement price and 4.81% when traded at the counter - party price. [73][75] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options on this day was 71,269 contracts, the open interest was 151,936 contracts, the trading volume ratio of call options to put options was 0.94, and the weighted - average implied volatility was 16.43%. A T - type quotation table of option prices at different strike prices was provided. [76][78] - **Volatility Trading**: Similar volatility trading suggestions were given. [85] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 15.1% when traded at the settlement price and 0.72% when traded at the counter - party price. [86][88] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on this day was 1,327,104 contracts, the open interest was 1,147,035 contracts, the trading volume ratio of call options to put options was 1.04, and the weighted - average implied volatility was 30.57%. A T - type quotation table of option prices at different strike prices was provided. [89][91] - **Volatility Trading**: Similar volatility trading suggestions were given. [93]

1. Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: November 4, 2025 [1] 2. Option Underlying Market Volatility Ranking - The report provides a ranking of option underlying market volatility, including implied volatility of at - the - money options, 30 - day historical volatility, and daily true range for various option underlyings such as ps2512, lc2512, etc. [3][4] - Explanation of volatility indicators: At - the - money option implied volatility reflects market expectations of future volatility; 30 - day historical volatility reflects past actual market movements; daily true range reflects intraday market movements [5] 3. Directory Summary 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50ETF - **Basic Information**: Presents the T - type quotation table of SSE 50ETF options, including call and put option prices at different strike prices and expiration months. The trading volume of the main options is 620,628 lots, the open interest is 908,604 lots, the volume ratio of call to put options is 1.41, and the weighted average implied volatility is 15.48% [19][21] - **Volatility Trading**: Provides implied volatility curves of call options at different strike prices and deltas, and gives trading suggestions: sell the month with the upper curve and buy the month with the lower curve for different months; sell options with points above the curve and buy options with points below the curve for the same month [22][25] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.16% at the settlement price and 1.63% at the counter - price [28][30] 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: Presents the T - type quotation table of Huatai - Berry SSE 300ETF options. The trading volume of the main options is 758,603 lots, the open interest is 760,840 lots, the volume ratio of call to put options is 1.26, and the weighted average implied volatility is 16.59% [31][33] - **Volatility Trading**: Similar to SSE 50ETF, provides implied volatility curves and trading suggestions [34][37] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.58% at the settlement price and 1.99% at the counter - price [40][41] 3.1.3 Southern CSI 500ETF - **Basic Information**: Presents the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main options is 1,395,214 lots, the open interest is 787,917 lots, the volume ratio of call to put options is 0.97, and the weighted average implied volatility is 21.25% [42][44] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [45][46] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.4% at the settlement price and 8.91% at the counter - price [50][52] 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: Presents the T - type quotation table of Huaxia SSE STAR 50ETF options. The trading volume of the main options is 892,069 lots, the open interest is 1,190,316 lots, the volume ratio of call to put options is 1.32, and the weighted average implied volatility is 37.68% [53][55] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [56][59] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.4% at the settlement price and 0.99% at the counter - price [62][63] 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 138,409 lots, the open interest is 290,526 lots, the volume ratio of call to put options is 1.63, and the weighted average implied volatility is 37.89%. Presents the T - type quotation table [65][66] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [67][68] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.4% at the settlement price and 2.86% at the counter - price [72][74] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: Presents the T - type quotation table of Harvest SSE 300ETF options. The trading volume of the main options is 113,987 lots, the open interest is 156,678 lots, the volume ratio of call to put options is 1.29, and the weighted average implied volatility is 17.89% [75][77] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [78][79] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.4% at the settlement price and 2.70% at the counter - price [83][85] 3.2.2 E Fund ChiNext ETF - **Basic Information**: Presents the T - type quotation table of E Fund ChiNext ETF options. The trading volume of the main options is 1,532,022 lots, the open interest is 1,111,146 lots, the volume ratio of call to put options is 1.11, and the weighted average implied volatility is 33.38% [86][88] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [89][91] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.9% at the settlement price and 2.67% at the counter - price [94][96]

Group 1: Option Volatility Ranking - ag2511 has the highest implied volatility of 2.7% and ranks 1st, with a 30 - day historical volatility of 2.3% (ranked 4th) and a real - time volatility of 5.1% (ranked 2nd) [3] - jd2511 has an implied volatility of 2.7%, ranking 2nd, a 30 - day historical volatility of 1.7% (ranked 10th), and a real - time volatility of 1.2% (ranked 35th) [3] - au2512 has an implied volatility of 2.1%, ranking 9th, a 30 - day historical volatility of 2.2% (ranked 5th), and a real - time volatility of 6.4% (ranked 1st) [3] Group 2: Volatility Analysis and Trading Suggestions - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety. Higher values indicate a greater possibility of significant market movements. Trend traders can focus on varieties with higher rankings. The 30 - day historical volatility reflects the actual past market size. If the value is smaller than the implied volatility, the option price may be relatively expensive. Option sellers can focus on the difference in rankings. Intraday traders can focus on varieties with higher rankings in real - time volatility [6] - For volatility trading, different months: sell the month with the curve above and buy the month with the curve below; for the same month: sell the option with the point above the curve and buy the option with the point below the curve [23] Group 3: Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - The trading volume of the main options of Shanghai 50ETF on this day is 426,448 lots, the open interest is 555,499 lots, the trading volume ratio of call options to put options is 1.4, and the weighted average implied volatility is 16.02% [21] - For volatility trading, different months: sell the month with the curve above and buy the month with the curve below; for the same month: sell the option with the point above the curve and buy the option with the point below the curve [23] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 5.04% at the settlement price and 0.93% at the counter - price [27][29] 1.2 Huatai - Ber瑞 CSI 300ETF - The trading volume of the main options of Huatai - Ber瑞 CSI 300ETF on this day is 452,107 lots, the open interest is 498,017 lots, the trading volume ratio of call options to put options is 1.24, and the weighted average implied volatility is 17.52% [32] - Volatility trading suggestions are the same as above [37] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 4.12% at the settlement price and 0.67% at the counter - price [39][40] 1.3 Southern CSI 500ETF - The trading volume of the main options of Southern CSI 500ETF on this day is 573,640 lots, the open interest is 493,365 lots, the trading volume ratio of call options to put options is 1.06, and the weighted average implied volatility is 22.22% [43] - Volatility trading suggestions are the same as above [45] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 28.0% at the settlement price and 6.66% at the counter - price [49][51] 1.4 Huaxia SSE STAR Market 50ETF - The trading volume of the main options of Huaxia SSE STAR Market 50ETF on this day is 667,575 lots, the open interest is 686,318 lots, the trading volume ratio of call options to put options is 1.21, and the weighted average implied volatility is 34.66% [54] - Volatility trading suggestions are the same as above [56] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 17.1% at the settlement price and 5.97% at the counter - price [60][62] 1.5 E Fund SSE STAR Market 50ETF - The trading volume of the main options of E Fund SSE STAR Market 50ETF on this day is 127,612 lots, the open interest is 204,544 lots, the trading volume ratio of call options to put options is 0.58, and the weighted average implied volatility is 40.39% [65] - Volatility trading suggestions are the same as above [67] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 30.1% at the settlement price and 6.47% at the counter - price [71][72] Group 4: Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - The trading volume of the main options of Harvest CSI 300ETF on this day is 66,876 lots, the open interest is 84,465 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 18.15% [75] - Volatility trading suggestions are the same as above [78]